Edit Profile (opens in new tab) Caporin, Massimiliano Co-Author Distance Author ID: caporin.massimiliano Published as: Caporin, Massimiliano; Caporin, M. External Links: ORCID · dblp Documents Indexed: 22 Publications since 2002 Co-Authors: 21 Co-Authors with 20 Joint Publications 252 Co-Co-Authors all top 5 Co-Authors 2 single-authored 3 Billio, Monica 3 Lisi, Francesco 2 Aielli, Gian Piero 2 Baldovin, Fulvio 2 Bonaccolto, Giovanni 2 Bordignon, Silvano 2 Caraglio, Michele 2 Paterlini, Sandra 2 Preś, Juliusz 2 Stella, Attilio L. 1 Bertelli, Stefano 1 Camana, F. 1 de Magistris, Paolo Santucci 1 Liu, Shaowen 1 Maillet, Bertrand B. 1 McAleer, Michael 1 Paruolo, Paolo 1 Ranaldo, Angelo 1 Rossi, Eduardo 1 Velo, Gabriel G. 1 Zamparo, Marco all top 5 Serials 5 Computational Statistics and Data Analysis 3 Econometric Reviews 3 Statistical Methods and Applications 2 Journal of Econometrics 2 Mathematics and Computers in Simulation 2 Quantitative Finance 1 Journal of Time Series Analysis 1 European Journal of Operational Research 1 Journal of Statistical Computation and Simulation 1 Computational Management Science 1 Journal of Forecasting Fields 19 Statistics (62-XX) 11 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 2 Numerical analysis (65-XX) 1 Geophysics (86-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 21 Publications have been cited 97 times in 89 Documents Cited by ▼ Year ▼ Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis. Zbl 1088.62123 Billio, Monica; Caporin, Massimiliano 14 2005 A generalized dynamic conditional correlation model for portfolio risk evaluation. Zbl 1162.91364 Billio, Monica; Caporin, Massimiliano 10 2009 Generalised long-memory GARCH models for intra-daily volatility. Zbl 1445.62309 Bordignon, Silvano; Caporin, Massimiliano; Lisi, Francesco 9 2007 A note on calculating autocovariances of long-memory processes. Zbl 1062.62164 Bertelli, Stefano; Caporin, Massimiliano 8 2002 Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion. Zbl 1284.91468 Billio, Monica; Caporin, Massimiliano 7 2010 Asset allocation strategies based on penalized quantile regression. Zbl 1402.62247 Bonaccolto, Giovanni; Caporin, Massimiliano; Paterlini, Sandra 6 2018 Chasing volatility. A persistent multiplicative error model with jumps. Zbl 1456.62243 Caporin, Massimiliano; Rossi, Eduardo; Santucci de Magistris, Paolo 5 2017 Robust ranking of multivariate GARCH models by problem dimension. Zbl 1506.62033 Caporin, Massimiliano; McAleer, Michael 5 2014 Dynamic large financial networks via conditional expected shortfalls. Zbl 1490.91234 Bonaccolto, Giovanni; Caporin, Massimiliano; Maillet, Bertrand B. 5 2022 Proximity-structured multivariate volatility models. Zbl 1491.62150 Caporin, Massimiliano; Paruolo, Paolo 5 2015 Periodic long-memory GARCH models. Zbl 1161.62054 Bordignon, Silvano; Caporin, Massimiliano; Lisi, Francesco 4 2009 Option pricing with non-Gaussian scaling and infinite-state switching volatility. Zbl 1337.91085 Baldovin, Fulvio; Caporin, Massimiliano; Caraglio, Michele; Stella, Attilio L.; Zamparo, Marco 3 2015 Variance (non) causality in multivariate GARCH. Zbl 1108.62085 Caporin, Massimiliano 3 2007 Fast clustering of GARCH processes via Gaussian mixture models. Zbl 1499.91181 Aielli, Gian Piero; Caporin, Massimiliano 3 2013 Ensemble properties of high-frequency data and intraday trading rules. Zbl 1398.62278 Baldovin, F.; Camana, F.; Caporin, M.; Caraglio, M.; Stella, A. L. 2 2015 Variance clustering improved dynamic conditional correlation MGARCH estimators. Zbl 1506.62008 Aielli, Gian Piero; Caporin, Massimiliano 2 2014 Identification of long memory in GARCH models. Zbl 1145.62365 Caporin, Massimiliano 2 2003 Precious metals under the microscope: a high-frequency analysis. Zbl 1398.62284 Caporin, Massimiliano; Ranaldo, Angelo; Velo, Gabriel G. 1 2015 Forecasting temperature indices density with time-varying long-memory models. Zbl 1397.62402 Caporin, Massimiliano; Preś, Juliusz 1 2013 Misspecification tests for periodic long memory GARCH models. Zbl 1332.62312 Caporin, Massimiliano; Lisi, Francesco 1 2010 Modelling and forecasting wind speed intensity for weather risk management. Zbl 1254.86023 Caporin, Massimiliano; Preś, Juliusz 1 2012 Dynamic large financial networks via conditional expected shortfalls. Zbl 1490.91234 Bonaccolto, Giovanni; Caporin, Massimiliano; Maillet, Bertrand B. 5 2022 Asset allocation strategies based on penalized quantile regression. Zbl 1402.62247 Bonaccolto, Giovanni; Caporin, Massimiliano; Paterlini, Sandra 6 2018 Chasing volatility. A persistent multiplicative error model with jumps. Zbl 1456.62243 Caporin, Massimiliano; Rossi, Eduardo; Santucci de Magistris, Paolo 5 2017 Proximity-structured multivariate volatility models. Zbl 1491.62150 Caporin, Massimiliano; Paruolo, Paolo 5 2015 Option pricing with non-Gaussian scaling and infinite-state switching volatility. Zbl 1337.91085 Baldovin, Fulvio; Caporin, Massimiliano; Caraglio, Michele; Stella, Attilio L.; Zamparo, Marco 3 2015 Ensemble properties of high-frequency data and intraday trading rules. Zbl 1398.62278 Baldovin, F.; Camana, F.; Caporin, M.; Caraglio, M.; Stella, A. L. 2 2015 Precious metals under the microscope: a high-frequency analysis. Zbl 1398.62284 Caporin, Massimiliano; Ranaldo, Angelo; Velo, Gabriel G. 1 2015 Robust ranking of multivariate GARCH models by problem dimension. Zbl 1506.62033 Caporin, Massimiliano; McAleer, Michael 5 2014 Variance clustering improved dynamic conditional correlation MGARCH estimators. Zbl 1506.62008 Aielli, Gian Piero; Caporin, Massimiliano 2 2014 Fast clustering of GARCH processes via Gaussian mixture models. Zbl 1499.91181 Aielli, Gian Piero; Caporin, Massimiliano 3 2013 Forecasting temperature indices density with time-varying long-memory models. Zbl 1397.62402 Caporin, Massimiliano; Preś, Juliusz 1 2013 Modelling and forecasting wind speed intensity for weather risk management. Zbl 1254.86023 Caporin, Massimiliano; Preś, Juliusz 1 2012 Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion. Zbl 1284.91468 Billio, Monica; Caporin, Massimiliano 7 2010 Misspecification tests for periodic long memory GARCH models. Zbl 1332.62312 Caporin, Massimiliano; Lisi, Francesco 1 2010 A generalized dynamic conditional correlation model for portfolio risk evaluation. Zbl 1162.91364 Billio, Monica; Caporin, Massimiliano 10 2009 Periodic long-memory GARCH models. Zbl 1161.62054 Bordignon, Silvano; Caporin, Massimiliano; Lisi, Francesco 4 2009 Generalised long-memory GARCH models for intra-daily volatility. Zbl 1445.62309 Bordignon, Silvano; Caporin, Massimiliano; Lisi, Francesco 9 2007 Variance (non) causality in multivariate GARCH. Zbl 1108.62085 Caporin, Massimiliano 3 2007 Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis. Zbl 1088.62123 Billio, Monica; Caporin, Massimiliano 14 2005 Identification of long memory in GARCH models. Zbl 1145.62365 Caporin, Massimiliano 2 2003 A note on calculating autocovariances of long-memory processes. Zbl 1062.62164 Bertelli, Stefano; Caporin, Massimiliano 8 2002 all cited Publications top 5 cited Publications all top 5 Cited by 186 Authors 7 Caporin, Massimiliano 3 Fry-McKibbin, Renée A. 3 Hsiao, Cody Yu-Ling 3 Karanasos, Menelaos 3 Peiris, M. Shelton 2 Aielli, Gian Piero 2 Almohaimeed, Bader S. 2 Anatolyev, Stanislav 2 Bodnar, Taras 2 Chua, Chew Lian 2 D’Urso, Pierpaolo 2 Fermanian, Jean-David 2 Gribisch, Bastian 2 Holan, Scott H. 2 Hurvich, Clifford M. 2 Lafuente-Rego, Borja 2 Lisi, Francesco 2 McAleer, Michael 2 Otranto, Edoardo 2 Paterlini, Sandra 2 Tsiaplias, Sarantis 2 Vilar, José Antonio 1 Abadir, Karim M. 1 Afonso, António 1 Aknouche, Abdelhakim 1 Aladağ, Çağdaş Hakan 1 Alexandre, Michel 1 Allen, David E. 1 Asai, Manabu 1 Baldovin, Fulvio 1 Bauwens, Luc Claude A. 1 Bernardi, Mauro 1 Billio, Monica 1 Bisaglia, Luisa 1 Bonaccolto, Giovanni 1 Bordignon, Silvano 1 Borovkova, Svetlana 1 Bouchaud, Jean-Philippe 1 Boutahar, Mohamed 1 Caggiano, Giovanni 1 Caporin, Massimilano 1 Caraglio, Michele 1 Catania, Leopoldo 1 Cavicchioli, Maddalena 1 Chan, Jennifer So Kuen 1 Chan, Joshua C. C. 1 Chan, Ngai Hang 1 Chang, Chialin 1 Chen, Cathy W. S. 1 Chicheportiche, Rémy 1 Chitkasame, Terdthiti 1 Choy, S. T. Boris 1 Christopoulos, Apostolos 1 Chronopoulou, Alexandra 1 Conrad, Christian 1 Davis, Ginger M. 1 De Gooijer, Jan G. 1 Deo, Rohit S. 1 Dhaene, Geert 1 Diao, Xundi 1 Dimitrakopoulos, Stefanos 1 Du, Shaofu 1 Duchesne, Pierre 1 Dungey, Mardi 1 Durante, Fabrizio 1 Eğrioğlu, Erol 1 Gallegati, Marco 1 Gebbie, Tim 1 Giacometti, Rosella 1 Gomes, Pedro R. S. 1 Gong, Qingbin 1 Gourieroux, Christian 1 Grazian, Clara 1 Grigoletto, Matteo 1 Haas, Markus 1 Halunga, Andreea G. 1 Hassan, M. Kabir 1 Hecq, Alain W. 1 Hendricks, Dieter 1 Holloway, Jet 1 Hunt, Richard 1 Huurman, Christian 1 Ivasiuk, Dmytro 1 Izzeldin, Marwan 1 Jiang, Wenjun 1 Jin, Xisong 1 Kadılar, Cem 1 Kartsaklas, A. 1 Kawasaki, Yoshinori 1 Kim, Jinki 1 Kittawit, A. 1 Laurent, Sébastien-Yves 1 Lazar, Emese 1 Lee, Oesook 1 Lehnert, Thorsten 1 Li, Zhe 1 Li, Zhichuan 1 Lin, Edward M. H. 1 Lindholm, Mathias 1 Liu, Jichun ...and 86 more Authors all top 5 Cited in 32 Serials 10 Journal of Econometrics 9 Computational Statistics and Data Analysis 9 Quantitative Finance 5 Econometric Reviews 5 European Journal of Operational Research 5 Statistical Methods and Applications 4 Statistical Papers 4 Studies in Nonlinear Dynamics and Econometrics 4 Computational Management Science 3 Journal of Time Series Analysis 3 Journal of Statistical Computation and Simulation 3 Econometric Theory 3 Journal of Time Series Econometrics 2 Mathematics and Computers in Simulation 2 Asia-Pacific Financial Markets 2 Thai Journal of Mathematics 1 Physica A 1 Chaos, Solitons and Fractals 1 Fuzzy Sets and Systems 1 Economics Letters 1 Computational Statistics 1 Communications in Statistics. Theory and Methods 1 Open Economies Review 1 Discrete Dynamics in Nature and Society 1 Statistical Modelling 1 Advances in Data Analysis and Classification. ADAC 1 AStA. Advances in Statistical Analysis 1 Discrete and Continuous Dynamical Systems. Series S 1 Statistics Surveys 1 Journal of Probability and Statistics 1 Annals of Finance 1 Dependence Modeling all top 5 Cited in 8 Fields 65 Statistics (62-XX) 46 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 7 Operations research, mathematical programming (90-XX) 5 Probability theory and stochastic processes (60-XX) 3 Numerical analysis (65-XX) 2 Partial differential equations (35-XX) 1 General and overarching topics; collections (00-XX) 1 Geophysics (86-XX) Citations by Year